Center-Outward R-Estimation for Semiparametric VARMA Models

We propose a new class of R-estimators for semiparametric VARMA models in which the innovation density plays the role of the nuisance parameter. Our estimators are based on the novel concepts of multivariate center-outward ranks and signs. We show that these concepts, combined with Le Cam's asy...

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Bibliographic Details
Published in:	Journal of the American Statistical Association Vol. 117; no. 538; pp. 925 - 938
Main Authors:	Hallin, M., La Vecchia, D., Liu, H.
Format:	Journal Article
Language:	English
Published:	Alexandria Taylor & Francis 03.04.2022 Taylor & Francis Ltd
Subjects:	Asymptotic methods Asymptotic properties Comparative analysis Comparative studies comparative study Competitors Density Distribution-freeness Estimation Estimators Experiments Innovations Local asymptotic normality mathematical theory Measure transportation Multivariate ranks Parameter estimation Quasi-likelihood estimation Regression analysis Skew innovation density statistical analysis Statistical methods Statistics
ISSN:	0162-1459, 1537-274X, 1537-274X
Online Access:	Get full text
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